Research Journal of Finance and Accounting [Link].

org
ISSN 2222-1697 !a"er# ISSN 2222-2$%7 &nline#
'ol.%( No.7( 2)1*

167
Impact of Capital Asset Pricing Model (CAPM) on Pakistan
(The Case of KSE 100 Inde)

+a,eed -r Reh,an
!h. scholar Isla,ia /ollage -ni0ersit1 !eshawar
23,ail4 +a,[Link],
Sa7id 8ul
.e"art,ent of 9usiness Ad,inistration Air -ni0ersit1 Isla,a:ad
;ardan 2*2)) <!< !a=istan 3,ail4 sa7idali1)6hot,[Link],
Nasir Ra>>a?
!h. Scholar S@A9ISA Isla,a:ad
Na0eed Saif
!h. scholar 8o,al -ni0ersit1 ..I <han
Ael4 B92-***-9*))$11 3,ail4 [Link],
Shafi? -r Reh,an
Decturer -ni0ersit1 of ;ala=and( !a=istan
.r. A>i> Ja0ed
.e"art,ent of 9usiness Ad,inistration 8o,al -ni0ersit1

A!stract
In this "a"er the esti,ated return on stoc= ,odel i.e. /a"ital Asset !ricing ;odel /A!;# is e,"lo1ed in order
to get infor,ation whether it :etter esti,ates the return on stoc= in !a=istani ca"ital ,ar=et. For this "ur"ose
ti,e series ,onthl1 data fro, secondar1 sources for a "eriod of 2))* to 2))7 has :een ta=en. /A!; were
tested for the fi0e si>es and :oo= to ,ar=et "ortfolios fro, <arachi Stoc= 3Echange. !a=istan A-:ill rate is ta=en
as ris= free rate. +owe0er :asic "ro:le, with /A!;# was "redicti0e "ower and Ro:ustness of results. For this
"ur"ose ca"ital asset "ricing ,odel was a""lied. .e"endent 0aria:le "ortfolio re"resented :1 . Ahe
eEcessi0e return shows the return a:o0e that of the ris= free rate that is re?uired :1 the in0estor for ta=ing
additional ris=. Fhile inde"endent 0aria:les were ,ar=et ris= "re,iu,. Research Findings show that /A!;
:etter esti,ates the return in !a=istani ca"ital ,ar=et. In case of /A!;( it was a:le to show the eEistence of ris=
"re,iu, as the onl1 factor affecting the stoc= return.
Key Words: CAPM, Market portfolio, KSE, Risk Premium.
1" Introd#ction
For indi0idual cost of e?uit1 and esti,ation of eE"ected returns :eing 0er1 i,"ortant for decision related to
"ortfolio ,anage,ent( as well as e0aluation of "erfor,ance. So ,an1 ,odels ha0e :een de0elo"ed to facilitate
financial ,anagers and in0estors to "redict the eE"ected return on a stoc=. Ahe i,"ortant ,odel for these
"rediction are a single factor ,odel /A!;4 /a"ital Asset !ricing ;odel# de0elo"ed :1 Fillia, Shar"e 196%#
and John Dintner in 1965 for which Fillia, Shar"e was gi0en No:el !ri>e in 199) and a three factor ,odel
suggested :1 Fa,a and French 1992#( in fact this ,odel was de0elo"ed after /A!; was hea0il1 critici>ed on
nu,:er of grounds. As Ja,es .a0is 2))6# said /A!; Gis one of i,"ortant asset "ricing ,odelH and Gthe
i,"ortance of this ,odel co,es :ecause it consist of onl1 one factor related to Ris=. Ahe conce"t a:out /A!;
is so logical that is widel1 acce"ted and understand :1 researchersH and the Fa,a and French three factor ,odel
is G!erha"s the ,ost "ro,ising alternati0eH and Gthe ,ost widel1 used ,odel of stoc=s return in the acade,ic
finance literatureH. 9oth of the ,odels ha0e :een critici>ed on different grounds for eEa,"le /A!; tal=s of
,ar=et "ortfolio which is assu,ed to consist of all assets in all the ,ar=ets which is "racticall1 i,"ossi:le
:ecause the1 ,a1 include not onl1 traded financial assets :ut also consu,er dura:les( real estate. Second /A!;
sa1s that there is onl1 one significant :eta :ut in "ractice ,an1 significant
Ahe e?uation for the /A!; ,odel that eE"lains the eE"ected return on "ortfolio or stoc= i follow as4
------------------------ 1#
+ere
is the eE"ected return calculated :ased on its ris= to ,ar=et "ortfolio
is the ris=-free interest rate(
is the eE"ected return on the ,ar=et "ortfolio(
And ( the /A!; ris= of stoc= i( is the slo"e in the regression of its eEcess return on the ,ar=etIs eEcess return.
t
p
ER
f
R
J # K # Rf R E R R E
m i f i
+ =
#
i
R E
f
R
#
m
R E
i

Research Journal of Finance and Accounting [Link]

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'ol.%( No.7( 2)1*

16$
Ahe e?uation for the ti,e series regression can :e seen in 2# with the eEcess return on "ortfolio i as the
de"endent 0aria:le and the eEcess return on the ,ar=et as the inde"endent 0aria:le4
---------------------- 2#
In the /A!; ,odel or 9eta is the sole factor when it co,es to "ricing ris=. Fe can intuiti0el1 see wh1
"eo"le initiall1 e,:raced this ,odel( and it was due to its si,"licit1. In the conteEt of the /A!;( an in0estor is
onl1 rewarded for s1ste,atic or non-di0ersifia:le ris= which is re"resented :1 . Ahe eEcess "re,iu, that is
afforded to "ortfolio or stoc= i is solel1 a function of its 0olatilit1 to the eE"ected ,ar=et ris= "re,iu,( or the
factor( ,ulti"lied :1 the eE"ected ,ar=et ris= "re,iu,. Ahe ad0antages of this ,odel were that gi0en
historical returns on the "ortfolio( and the selection of another 0aria:le such as the <S3 1)) as a "roE1 for the
,ar=et( that it is 0er1 si,"le to calculate for a ti,e series regression. If /A!; is used then and esti,ate for
:eta is o:tained using si,"le &DS regression and this esti,ate is ,ulti"lied :1 an esti,ate for the ris= "re,iu,
on the ,ar=et to o:tain an esti,ate for eEcessLor less return on e?uit1 for that stoc=. So /A!; uses onl1 one
0aria:le that is Gris= "re,iu, on the ,ar=etH to esti,ate the return on e?uit1 for a stoc=( which ,a1 cause so,e
"ro:le,s. For eEa,"le( the /A!; sa1s that the ris= of a stoc= should :e ,easured relati0e to a co,"rehensi0e
M,ar=et "ortfolioM that in "rinci"le can include not 7ust traded financial assets( :ut also consu,er dura:les( real
estate and hu,an ca"ital. 30en if we ta=e a narrow 0iew of the ,odel and li,it its "re0iew to traded financial
assets( is it legiti,ate to li,it further the ,ar=et "ortfolio to co,,on stoc=s a t1"ical choice#( or should the
,ar=et :e eE"anded to include :onds( and other financial assets( "erha"s around the world. Ahe /A!;Is
e,"irical "ro:le,s ,a1 reflect theoretical failings( the result of ,an1 si,"lif1ing assu,"tions. 9ut the1 ,a1
also :e caused :1 difficulties in i,"le,enting 0alid for tests of the ,odel.

$" %iterat#re &e'ie(
It is a glo:al "heno,enon G+igher the ris= higher will :e the returnH. If we ta=e the sa,e state,ent for financial
,ar=ets then this can :e restated as higher the ris= of the financial assets higher the return de,anded. 9ut the
"ro:le, is how to ?uantif1 the ris= so as to ,easure the return de,anded for it. If this can :e sol0ed it will :e of
great hel" in "ro:le,s li=e ca"ital :udgeting( cost :enefit anal1sis( "ortfolio selection and for other decision
relating to the =nowledge of ris= and return.
In 1977( Roll ?uestioned the testa:ilit1 of /A!;( his ,ain criti?ue :eing that the /A!; cannot :e tested or
a""lied until the structure of the true ,ar=et "ortfolio is =nown and all securities are included. -sing a "roE1
incurs two "ro:le,s( na,el1 the "roE1 ,ight :e efficient when the true ,ar=et "ortfolio is not and the re0erse(
the "roE1 ,ight not :e efficient when the ,ar=et "ortfolio is. Further,ore( there is a "ossi:ilit1 of :ench,ar=
error as using different "roEiesN 1ields different results and conclusions and ina""ro"riate "roE1 ,ight :e ta=en.
In addition( in realit1( the return on the ,ar=et
9asu 1977# studied co,,on stoc= and ,ade clear that whene0er sorted of the stoc= :ased on 3L! ratios( the
future returns on higher 3arningL!rice ratio often the 0alue of the stoc= shows results higher than forecasted :1
/a"ital Assets !ricing ;odel and future returns on Dower 3arningL!rice ratio stoc=s are less than forecasted :1
/A!;. Fhen stoc=s are sorted on ,ar=et ca"itali>ation "rice ti,es shares outstanding#( a0erage returns on
s,all stoc=s are higher than "redicted :1 the /A!;. Stat,an 19$)) showed that G0alueM stoc=s or stoc=s with
high :oo=-to-,ar=et e?uit1 ratios had returns that were not ca"tured :1 ,ar=et :etas.

)" &esearch Methodolog*
In 1991 <S3 started as an o"en ,ar=et :ut the 0olu,e of traded securities re,ained low till the start of 2))2(
within this "eriod the in0est,ent acti0it1 re,ained low and no noteworth1 foreign in0est,ent was seen( :ut in
the start of the new ,illenniu, en0iron,ent changed and <S3 started to show signs of acti0it1 which increased
with ti,e till 2))$. Ahe world financial crisis 2))$ and "olitical insta:ilit1 started ,a=ing all its "re0ious :ull
rallies into :earish. <S3 1)) indeE on se0eral instances :ro=e its "re0ious records which was a sign of in0estors
confidence In A"ril 17( 2))6 ,ar=et ca"itali>ation in <S3 was a:out -S O 57 9illion which was %6P of
!a=istan 8.! for the 1ear 2))5-2))6#. !a=istan was seen as an e,erging ,ar=et and foreign in0estors were
encouraged to in0est in it In 2))2 <S3 was declared as the :est "erfor,ing stoc= eEchange in the world in
ter,s of "ercentage increase in local ,ar=et indeE 0alue#.
)"1 Capital Asset Pricing Model
)"1"1 Model Specification
Ahe ,odel used for /A!; and will :e asQ

Fhere
i f m i f i
R R R R + + = J K
i

J # K #
f m i f i
R R E R R E + =
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'ol.%( No.7( 2)1*

169
is the eE"ected return on stoc= calculated :ased on its ris= to ,ar=et "ortfolio.
is the ris=-free interest rate(
is the eE"ected return on the ,ar=et "ortfolio(
+ the /A!; ris= of stoc= i, is the slo"e in the regression of its eEcess return on the ,ar=etIs eEcess return.
Ahe ,odel can :e shown as
For /A!;
Fhere and
R a0erage return of e?uall1 weighted "ortfolio.
)"1"$ ,ependent 'aria!le
Ahe de"endent 0aria:le for :oth /A!; is the highest return of the "ortfolio shown :1 . Ahe ,ore than
a:o0e return shows the return a:o0e that of the free rate associated with ris= that is re?uired :1 the in0estor
for ta=ing additional ris=.
)"1"$"$ Independent 'aria!les
Ahe inde"endent 0aria:le for /a"ital Assets !ricing ;odel is the ,ar=et ris= "re,iu,.
)"$"1 -*pothesis


3.3 Sample Selection and Criteria
Ao test the /A!; using ,onthl1 data of <S3 stoc=s ta=en fro, different sectors( data fro, the "eriod of Jan
2))2 to .ec 2))$ is ta=en. -"dated data could not :e ta=en :ecause stoc= eEchange in !a=istan was free>ed
fro, 27 August 2))$ to 12 .ec 2))$ and data of consecuti0e 6) ,onths is re?uired for these ,odels.
1. Ahe selected co,"anies ,ust ha0e the "rice data for the "eriod Jan 2))* to .ec 2))7.
2. /o,"anies ha0ing negati0e e?uit1 for the "eriod were ignored e.g. Fa>ir Ali industries and !a=istan
International Air line.
*. <S3 1)) indeE of 2))$ was anal1>ed :oth on the ca"itali>ation of ,ar=et and 9L; ratio.
%. A sa,"le of 2) co,"anies were selected for the stud1( 2) to" and :otto, co,"anies on the :asis of ,ar=et
ca"itali>ation( 2) to"( 2) ,iddle and 2) :otto, co,"anies were selected on the :asis of 9L; ratio.

." Empirical &es#lts and Anal*sis
."1 CAPM Ill#strated
+ow /A!; is used for calculation of eE"ected return will first :e illustrated with si,"le su""osed data for
understanding and then a""lied to original data.
Eample
Det us consider an eEa,"le. Ahe esti,ated rates of return and 9eta coefficients of so,e securities are as gi0en
:elow.
Aa:le 14 3sti,ated rates of return and 9eta coefficients of so,e securities
Securit1 3sti,ated return P# 9eta
A *) 1.6
9 2% 1.%
/ 1$ 1.2
. 15 ).9
3 15 1.1
F 12 ).7

Ahe ris= free rate of return is 1) "ercent while the ,ar=et return is eE"ected to :e 1$ "ercent. Fe can use /A!;
to deter,ine which of these securities are correctl1 "riced. For this we ha0e to calculate the eE"ected return on
each securit1 using the /A!; e?uation
8i0en that R
f R
1) and R
,
R 1$
#
i
R E
f
R
#
m
R E
i

t t t p pt
E RP ER + + = #
f t P pt
R R ER =
t
p
R
t
p
ER
f
R
1 # E R R ER
f m t i it
+ + =
) 4
) ) 4
2
1

t
i i
H
or H

9ut statisticall1 insignificant

Research Journal of Finance and Accounting [Link]
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'ol.%( No.7( 2)1*

17)
Ahe e?uation :eco,es
Ahe eE"ected return on securit1 A can :e calculated :1 su:stituting the 9eta 0ale of securit1 A in the e?uation.
Ahus

R 1) B 12.$
R 22.$ "ercent
4.1.2 Descriptive statistics
Ahe ,onthl1 returns :etween Januar1 2))* and .ece,:er 2))7 were co,"uted on fi0e sorted "ortfolios. Aa:le
1 re"resents the descri"ti0e statistics of these "ortfolios.
Aa:le 24 .escri"ti0e statistics of ,onthl1 returns fro, "eriod 2))*-2))7

.escri"ti0e statistics of ,onthl1 returns 2))*-2))7#
A 9 / . 3
;ean %P 5P )P 6P *P
;edian %P 5P -2P 6P 2P
;aEi,u, 2)P 29P %)P *)P 19.55P
;ini,u, -)9P -*6P -*2P -2)P -2*P
Std..e0 7P 1).92P )9P 2)P 1)P

AR 9ig si>e with low 9L; "ortfolio
9R 9ig si>e with ;ediu, 9L; "ortfolio
/R S,all Si>e with Dow 9L; "ortfolio
.R S,all Si>e with ;ediu, 9L; "ortfolio
3R s,all si>e with +igh 9L; !ortfolio.
Aa:le *4 /orrelations :etween sorted !ortfolio returns

A B C D E
A 99P
9 51P 199P
/ 6)P *9P 99P
. 59P 6)P 7)P 99P
3 6$P %9P 6)P 69P 99P

Aa:le %4 /A!; co,:ined "ortfolio result
/A!; regression result
S T1 tU# tT1# R-s?uare
).)))752 ).9)692 ).15)1 1*.5*77 ).*99%
2 Significant at 99P 22 Significant at 95P
Ahe result was astonishingl1 0er1 accurate the interce"t was insignificant at 99P and 95P confidence inter0al
and ris= "re,iu, was significant at 99P and 95P confidence inter0al.

/" Concl#sion and &ecommendations
Rate of return or asset "ricing is one of the hottest to"ics for financial econo,ists. Fro, the "ast half a centur1
the1 are tr1ing to create a ,odel that can :e called the :est of all and can :e used uni0ersall1 :ut it is 0er1
difficult :ecause different ,ar=et ha0e different characteristic( so a ,odel that can :e considered :etter in one
,ar=et ,a1 not wor= in other en0iron,ent. .uring this ti,e ,an1 ,odels for asset "ricing were de0elo"ed
so,e got in the li,e light while other 0anished without lea0ing an1 =ind of i,"ression. Fe are facing a si,ilar
"ro:le, with /A!; and Fa,a and French three factor ,odel /A!;. So,e researchers ad0ocate for the single
factor :eta as the ,ost 0ia:le ris= factor deter,ining returnsQ other re"ort that :eta has :een long gone. It is
"ro"osed that different co,:inations could :e tried to see eEistence of si>e and 0alue "re,iu, li=e the ,onthl1
data can :e re"laced with dail1 or wee=l1 data. Ahe ti,e "eriod under consideration can :e changed to include
other 1ears. It is also "ro"osed that on the sa,e data set the ,odel should :e tested without sorting the "ortfolios
and its ro:ustness should :e chec=ed for other ti,e "eriods or there is a "ossi:ilit1 to increase the sa,"le si>e
# 1) 1$ 1) + =
i i
R
# 1) 1$ 6 . 1 1) + =
i
R
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then ,a1:e we can ha0e so,e signs of si>e and 0alue "re,iu,. Asset "ricing is one of core to"ic in the
in0est,ent decisions and continuous i,"ro0e,ents are :eing ,ade to create a ro:ust ,odel. 9ut ,an1
difficulties are :eing faced when used to anal1>e the hu,an :eha0ior. Financial econo,ists ha0e encountered
tre,endous "ro:le,s whene0er the1 tried to ,odel in0estorNs "s1cholog1 and the result for a "articular ti,e
"eriod ,ight not :e re"resentati0e of actual in0est,ent :eha0ior in su:se?uent ti,e "eriods. Future is uncertain
so is hu,an thin=ing no one can co,,ent for sure what thing the1 are going to consider i,"ortant at one ti,e
"eriod it is 0er1 co,"leE to figure out the reaction for an1 change that ,a1 ha""en.

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'ol.%( No.7( 2)1*

172
Aa:le 54 Awent1 selected co,"anies ha0ing +ighest ,ar=et ca"itali>ation
;=t /a" in ;illions# /o,"anies Na,e
27(7)$.75 Arif +a:i: Sec.
2$(5$7.1$ !a= Ao:acco Y.
*1(1)7.6$ -niDe0er !a=. Dtd.
**(2)).$* Ro1al 9an= Dtd YR
**(27*.57 <ot Addu !ower /o.
*7(%11.57 Allied 9an=
*7(97%.9) 3ngro /he,ical Y.
%%($%%.*$ !a= &ilfields Dtd.
%5($79.7$ !.S.&.
%7(*7*.52 Fau7i Fertili> Y.
6)(%7*.6* Nestle !a=istan
61(55$.2) Stand./hart.9an=
69()%9.$) -nited 9an=
7*(7$6.79 [Link]. /o.
$*(%*6.6* National 9an=
1)5()$*.55 +a:i: 9an= Dtd
11$($$1.)) !.A./.D.A
1%6(2*1.%1 ;/9 9an= Dtd.
16)(699.67 !a= !etroleu,Y9
%)6(1*6.67 &il and 8as .e0S!&A Y.

Aa:le 64 Awent1 Selected co,"anies ha0ing Dowest ,ar=et ca"itali>ation
;=t /a" in ;illions# /o,"anies Na,e
1%6.5% Fa>ir Ali
%15.2* 9annu Foollen
56).2* Na=sh:andi Ind.
1()*6.$) Agriautos Industries
1()96.7) +a:i: ;od
1(619.%7 As=ari Deasing Y9
*(62%.95 !a= Refiner1 Di,ited
*(655.22 <ohinoor 3nerg1
*($6*.9* Ahal Di,ited
%(2%%.)) !I/I/ 8rowth
%(752.96 /olon1 Sugar ;ills
%(7$*.7) Fau7i /e,ent
%($)5.%6 Fa>al AeEtile Dtd.
%($15.1$ !a=.!AA Dtd.
%(921.72 ;1:an= DtdYR
%(9%5.$2 ;ari 8as Y.
5()6$.12 !ioneer /e,ent
5(1)6.*% JS 9an= Dtd
5(2)6.76 Altern 3nerg1


Research Journal of Finance and Accounting [Link]
ISSN 2222-1697 !a"er# ISSN 2222-2$%7 &nline#
'ol.%( No.7( 2)1*

17*
Aa:le 74 SiE "ortfolios for,ed at the intersection of two si>e and three 9L; "ortfolios

9ig Si>e with Dow 9L; co,"anies
!a= Ao:acco Y.
-niDe0er !a=. Dtd.
Ro1al 9an= Dtd YR
Nestle !a=istan
;/9 9an= Dtd.
&il and 8as .e0S!&A Y.

9ig si>e with ;ediu, 9L; co,"
Arif +a:i: Sec.
[Link]. /o.
!.A./.D.A

9ig si>e with +igh 9L; /o,"anies
No co,"an1 was selected.

S,all Si>e with Dow 9L; /o,"anies
!a=.!AA Dtd.

S,all Si>e with ;ediu, 9L; /o,"anies
Agriautos Industries
;ari 8as Y.
!ioneer /e,ent

S,all Si>e with +igh 9L; /o,"anies
9annu Foollen
+a:i: ;od
<ohinoor 3nerg1
!I/I/ 8rowth
Fau7i /e,ent
JS 9an= Dtd
Arif +a:i: 9an=


Research Journal of Finance and Accounting [Link]
ISSN 2222-1697 !a"er# ISSN 2222-2$%7 &nline#
'ol.%( No.7( 2)1*

17%
Aa:le $4 /A!;4 Regression result of !ortfolio A
S-;;ARX &-A!-A

Re)ressio! Statisti"s
;ulti"le R ).$1%5%*
R S?uare ).66*%$
Ad7usted R
S?uare ).6571*
Standard 3rror ).)*661$
&:ser0ations 55

AN&'A
df SS MS &
Si)!ifi"a
!"e &
Regression 1 ).1%)11* ).1%)1 1)%.%9 *.$$3-1%
Residual 5* ).)71)66 ).))1*
Aotal 5% ).211179


Coeffi"ie!
ts
Sta!dard
Error t Stat P,'alue
-o(er
./0
1pper
./0
-o(er
./.20
1pper
./.20
Interce"t ).))9%** ).))51*1 1.$*$* ).)716 -).)))$6 ).)197* -).)))9 ).)197*
R,-Rf ).7)1965 ).)6$67 1).222 %3-1% ).56%229 ).$*97 ).56%2 ).$*97


Aa:le 94 /A!;4 Regression result !ortfolio 9
S-;;ARX &-A!-A

Re)ressio! Statisti"s
;ulti"le R ).%72
R S?uare ).22*
Ad7usted R
S?uare ).2)$
Standard
3rror ).1)7
&:ser0ations 55

AN&'A
df SS MS &
Si)!ifi"a
!"e &
Regression 1 ).17*$$)%21 ).17*$$
15.219)
%
).)))27
2
Residual 5* ).6)55*5119 ).)11%25
Aotal 5% ).779%155%

Coeffi"ie!ts
Sta!dard
Error t Stat P,'alue
-o(er
./0
1pper
./0
-o(er
./.20
1pper
./.20
Interce"t ).)1* ).)1%9 ).$617 ).*927 -).)171 ).)%29 -).)171 ).)%29
R,-Rf ).7$2 ).2))% *.9)11 ).)))27 ).*799 1.1$% ).*799 1.1$%


Research Journal of Finance and Accounting [Link]
ISSN 2222-1697 !a"er# ISSN 2222-2$%7 &nline#
'ol.%( No.7( 2)1*

175
Aa:le 1)4 /A!;4 Regression result for !ortfolio /
S-;;ARX &-A!-A

Re)ressio! Statisti"s
;ulti"le R ).6$5
R S?uare ).%69
Ad7usted R
S?uare ).%59
Standard 3rror ).)$*
&:ser0ations 55

AN&'A
df SS MS &
Si)!ifi"a!
"e &
Regression 1 ).*22$*%$99 ).*22$*5 %6.$)*)* $.123-)9
Residual 5* ).*655799$7 ).))6$9$
Aotal 5% ).6$$%1%$$6


Coeffi"ie!
ts
Sta!dard
Error t Stat P,'alue
-o(er
./0
1pper
./0
-o(er
./.20
1pper
./.20
Interce"t -).)** ).)116*$%*7 -2.$5)*$ ).))62)$ -).)5652
-
).))9$* -).)5652 -).))9$*
R,-Rf 1.)66 ).15575)5)7 6.$%127% $.123-)9 ).75*1*6
1.*7792
$ ).75*1*6 1.*7792$

Aa:le 114 /A!;4 Regression result for !ortfolio .
S-;;ARX &-A!-A
Re)ressio! Statisti"s
;ulti"le R ).6$6
R S?uare ).%7
Ad7usted R
S?uare ).%6
Standard 3rror ).)$5
&:ser0ations 55

AN&'A
df SS MS &
Si)!ifi"a!"e
&
Regression 1 ).*%)%66%69
).*%)%
66
%7.)67
7 7.563-)9
Residual 5* ).*$**7$)19
).))72
*%
Aotal 5% ).72*$%%%$7


Coeffi"ie!
ts
Sta!dard
Error t Stat P,'alue -o(er ./0
1pper
./0
-o(er
./.20
1pper
./.20
Interce"t ).)19 ).)1191$*75
1.6*12
2
).1)$7
7* -).))%%6 ).)%**%7 -).))%%6 ).)%**%7
R,-Rf 1.)9% ).159%96761
6.$6)5
91
7.563-
)9 ).77%**2 1.%1%152 ).77%**2 1.%1%152


Research Journal of Finance and Accounting [Link]
ISSN 2222-1697 !a"er# ISSN 2222-2$%7 &nline#
'ol.%( No.7( 2)1*

176
Aa:le 124 /A!;4 Regression result for !ortfolio 3
S-;;ARX &-A!-A
Re)ressio! Statisti"s
;ulti"le R ).7*2
R S?uare ).5*6
Ad7usted R
S?uare ).52$
Standard 3rror ).)61
&:ser0ations 55

AN&'A
df SS MS &
Si)!ifi"
a!"e &
Regression 1 ).225$)99)6 ).225$1 61.*2%9%
2.)$3-
1)
Residual 5* ).19515592% ).))*6$2
Aotal 5% ).%2)965$*


Coeffi"ie!
ts
Sta!dard
Error t Stat P,'alue
-o(er
./0
1pper
./0
-o(er
./.20
1pper
./.20
Interce"t -).))5 ).))$5)*%*% -).57)27 ).57)9)% -).)219 ).)122)6 -).)219 ).)122)6
R,-Rf ).$91 ).11*79656 7.$*1)2% 2.)$3-1)
).662$9
7 1.119*91 ).662$97 1.119*91

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